Aggregation allows you to place a single order for similar instruments in two or more exchanges and let the system find the market with the best bid or offer.
You can enter aggregated orders on DOMTrader, Order Ticket, Quote SpreadSheet, and Enhanced Quote SpreadSheet using the formula: AGGR(symbol&symbol). For example, AGGR(T.US.C027P0532&T.US.BU027P0532).
Aggregated orders are indicated on the DOMTrader by this
icon:
The account sending an aggregated order must have margin availability as if independent leg orders for the total number of lots were executed. For example: Buy 10AGGR(A&B) would require the account to be approved for Buy 10A and Buy 10B.
Aggregation has two modes: Market Taking (default) and Market Making:
Market Taking Mode: Your order is held on the gateway server until your price becomes available in at least one market; at which time, the gateway server sends an order to the exchange. The configurable parameters for this mode are:
•Trading Distribution
•Partial Fill Control
•Working Threshold
•Order Type
Market Making Mode: Your order is sent immediately to the exchanges based on your trading distribution preferences. The gateway server then manages your orders to get you filled as quickly as possible at your price. The configurable parameters for this mode are:
•Trading Distribution
•Overfill Management
The system works the complete size at one time. If lots cannot be evenly divided by the number of instruments, then the remainder is allocated to the first instrument. For example:
5 AGGR(A&B&C) = 3 A, 1 B, 1 C
6 AGGR(A&B&C) = 2 A, 2 B, 2 C
10 AGGR(A&B&C) = 4 A, 3 B, 3 C